Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1029
Annualized Std Dev 0.1328
Annualized Sharpe (Rf=0%) -0.7744

Row

Daily Return Statistics

Close
Observations 3243.0000
NAs 1.0000
Minimum -0.0680
Quartile 1 -0.0053
Median -0.0006
Arithmetic Mean -0.0004
Geometric Mean -0.0004
Quartile 3 0.0044
Maximum 0.0486
SE Mean 0.0001
LCL Mean (0.95) -0.0007
UCL Mean (0.95) -0.0001
Variance 0.0001
Stdev 0.0084
Skewness -0.1452
Kurtosis 3.4104

Downside Risk

Close
Semi Deviation 0.0059
Gain Deviation 0.0055
Loss Deviation 0.0057
Downside Deviation (MAR=210%) 0.0118
Downside Deviation (Rf=0%) 0.0061
Downside Deviation (0%) 0.0061
Maximum Drawdown 0.7984
Historical VaR (95%) -0.0130
Historical ES (95%) -0.0191
Modified VaR (95%) -0.0139
Modified ES (95%) -0.0218
From Trough To Depth Length To Trough Recovery
2008-06-16 2020-08-04 NA -0.7984 3214 3056 NA
2008-05-30 2008-06-06 2008-06-12 -0.0280 10 6 4
2008-05-07 2008-05-09 2008-05-14 -0.0205 6 3 3
2008-05-15 2008-05-20 2008-05-27 -0.0192 8 4 4
2008-05-05 2008-05-05 2008-05-06 -0.0035 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA -0.4 0.3 -0.1 0.4 -1.2 0.5 -3.2 2.2 -1.4
2009 0 -0.2 -0.4 0.4 3.2 0.1 -2.1 -0.6 -1.8 -1.4 1 0.6 -1.1
2010 0.8 -0.2 0.5 -1.2 -0.5 -0.1 -1.1 1.4 0 0.3 2.4 -1 1.3
2011 0.9 -0.3 -0.3 -0.2 -1.7 0.6 -0.8 -1.5 -1.3 -2.2 0 -0.7 -7.3
2012 0.8 0.7 1 0.4 -1.6 0.8 0.6 -1.2 -0.3 0.2 0 1.1 2.4
2013 0.7 -0.5 -0.5 -0.7 0.5 -0.2 1.8 0.4 0.4 1.1 0.1 0.8 3.9
2014 -0.8 0.2 0.5 -0.5 0.3 0.7 -1.2 0 -1.8 0.3 0.4 -0.3 -2.3
2015 -1.8 -0.7 -1 1.1 1 1 -1.2 -0.8 -0.1 -0.4 -0.9 -0.6 -4.4
2016 0.5 1.4 0.3 0 0 -0.6 0.7 -0.2 0.7 0 0.8 -0.4 3.3
2017 0.5 1.5 -0.3 0.8 0.1 0.2 -0.5 0.4 0.3 0 -0.6 -0.4 2.1
2018 1 -1 -0.5 0.3 0.7 0.2 0.6 0 0.5 -0.2 -0.4 -0.5 0.6
2019 0.9 0.6 1.3 0.1 -1.3 0.4 -2.2 0 -0.5 0.5 0.2 0.5 0.4
2020 -0.9 -2.2 -0.6 -0.2 0.1 0.3 -0.1 -0.5 -0.1 0.6 0.9 -0.1 -2.8
2021 -0.2 0.4 0.2 NA NA NA NA NA NA NA NA NA 0.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-05-01  69.9 SPY    141.  0.0207    0.0202   0.0323   0.0273  -0.0563    0.219    0.535 GLD    84.0 -0.0307 -0.037  
2 2008-05-02  70.6 SPY    142.  0.0028    0.0137   0.0326   0.0138  -0.0588    0.216    0.540 GLD    84.6  0.007  -0.0308 
3 2008-05-05  70.3 SPY    141. -0.00480   0.0086   0.0288   0.0218  -0.0669    0.208    0.511 GLD    86.3  0.02   -0.0162 
4 2008-05-06  70.8 SPY    142.  0.0087    0.0214   0.0372   0.059   -0.059     0.209    0.527 GLD    86.6  0.0042  0.00960
5 2008-05-07  70.4 SPY    140. -0.0178    0.0091   0.0197   0.0486  -0.0745    0.188    0.486 GLD    85.8 -0.0094 -0.00960
6 2008-05-08  69.5 SPY    139. -0.0026   -0.0139   0.0245   0.0391  -0.0794    0.188    0.490 GLD    87.2  0.0165  0.0387 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart